Absolute continuity for some one-dimensional processes

Abstract

We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler approximation of the underlying process. We obtain some absolute continuity results for stochastic differential equations with Hölder continuous coefficients. Furthermore, we allow such coefficients to be random and to depend on the whole path of the solution. We also show how it can be extended to some stochastic partial differential equations and to some Lévy-driven stochastic differential equations. In the cases under study, the Malliavin calculus cannot be used, because the solution in generally not Malliavin differentiable.

Published in at http://dx.doi.org/10.3150/09-BEJ215 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)